This paper sheds light on the impact of global macroeconomic uncertainty on the euro area economy. We build on the … methodology proposed by Jurado et al. (2015) and estimate global as well as country-specific measures of economic uncertainty for … to a wide range of historical events generally associated with heightened uncertainty. In addition, following Pier and …

Recent interest in "Risk Management"has highlighted the relevance of Bayesian analysis for robust monetary … rules that are robust with respect to model uncertainty facing both the policymaker and private sector. We apply our … area and estimated measures of structured exogenous and parameter uncertainty for the exercise. We find that IFB rules with …

We address the question to what extent a central bank can de-risk its balance sheet by unconventional monetary policy … operations. To this end, we propose a novel risk measurement framework to empirically study the time-variation in central bank … generated beneficial risk spill-overs across monetary policy operations, causing overall risk to be nonlinear in exposures. Some …

contributions from country-specific uncertainty, region-specific uncertainty and uncertainty common to all countries. We find that … common global uncertainty plays a primary role in explaining the volatility of inflation, interest rates and stock prices …, although to a varying extent over time. Region-specific uncertainty drives most of the exchange rate volatility for all Euro …

We examine the existence of physical and transition climate risk premia in euro area equity markets. To do so, we … develop two novel physical and transition risk indicators, based on text analysis, which are then used to gauge the presence … of climate risk premia. Results suggest that climate risk premia for both, transition and physical climate risk, have …

This paper proposes a set of indicators relevant for the risk characteristics of covered bonds, as based on granular … cover pool and the payment structure. They offer unified risk metrics for the European covered bond universe, which ensures … granular risk indicators adds to the overall transparency of the market in the context of risk monitoring. …

climate-related physical risks with a global Input-Output model. More specifically, climate-related GDP-at-risk data are used … ultimate impact of physical risk because trade can lead to losses that are up to 30 times higher in the EA than what looking at … possible. Future research should (i) develop more granular, holistic, and forward-looking global physical risk data and (ii …

-term transition scenarios, we document a significant variance among banks in their risk exposure, with the most exposed institutions …